Temporal Aggregation and the Continuous‐Time Capital Asset Pricing Model
研究回报率测量周期长度如何影响资本资产定价模型（CAPM）的实证含义，发现连续时间CAPM在时间加总后变成多因子模型，且不能被拒绝，而离散时间CAPM则容易被拒绝。
ABSTRACT We examine how the empirical implications of the Capital Asset Pricing Model (CAPM) are affected by the length of the period over which returns are measured. We show that the continuous‐time CAPM becomes a multifactor model when the asset pricing relation is aggregated temporally. We use Hansen's Generalized Method of Moments (GMM) approach to test the continuous‐time CAPM at an unconditional level using size portfolio returns. The results indicate that the continuous‐time CAPM cannot be rejected. In contrast, the discrete‐time CAPM is easily rejected by the tests. These results have a number of important implications for the interpretation of tests of the CAPM which have appeared in the literature.